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401-3927-00L 4 Credits BSC , DR , MSC D-MATH

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Mathematical Modelling in Life Insurance

Lecturers & Examiners: Dr. Tobias Jonas Peter

VVZ CR n/a

Last Updated: 2026-02-05 16:29:38

Abstract

In life insurance, it is essential to have adequate mortality rates, be it for reserving or pricing purposes. The course provides the classical tools necessary to create mortality tables from scratch as well as modern machine learning approaches to forecast mortality rates.It also covers the basics of survival analysis.

Objective

The course's objective is to provide the students with the understanding and the tools to create mortality tables on their own. Additionally, students should learn the basics of survival analysis.

Content

Following main topics are covered: - Determining raw mortality rates - Smoothing techniques - Trends in mortality rates - Integration of safety margins - Stochastic mortality model due to Lee and Carter - Neural network extension of the Lee-Carter model - Machine learning for mortality forecasts - Survival analysis

Resources

Lecture Notes

Lectures notes and slides will be provided

General Information

Language: English
Levels: BSC , DR , MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: oral 20 minutes

Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch

Course Components

Type	Title	Time & Place	Hours
lecture	Mathematical Modelling in Life Insurance	Thu 16:15-18:00 (HG D 1.2)	2 h weekly

Offered In

Mathematics (General Courses)
- Actuary SAA Education at ETH Zurich (Further pieces of information are available at Prof. M. Wüthrich's secretariat, HG F 42.)
Mathematics Bachelor
- Electives
  - Selection: Financial and Insurance Mathematics (In the Bachelor's programme in Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)
Mathematics Master
- Electives (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 14 of the required 26 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
  - Electives: Applied Mathematics and Further Application-Oriented Fields (¬)
    - Selection: Financial and Insurance Mathematics (In the Master's programme in Mathematics (direction Mathematics resp. Applied Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course resp. applied elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)